EFFECTIVE UTILIZATION OF COMPUTATIONAL RESOURCES FOR BERMUDA OPTIONS RATIONAL PRICES ESTIMATION

Anna Gorbunova, Iosif Meerov, Andrey Nikonov, Andrey Rusakov, Alexander Shishkov

2008 , VOLUME 08, NUMBER 9 ( March-April )

ISSN 2226-1494 (print), ISSN 2500-0373 (online)

Publications

Editor-in-Chief

Nikiforov
Vladimir O.
D.Sc., Prof.

Partners

EFFECTIVE UTILIZATION OF COMPUTATIONAL RESOURCES FOR BERMUDA OPTIONS RATIONAL PRICES ESTIMATION

A. Gorbunova, I. Meerov, A. Nikonov, A. Rusakov, A. Shishkov

Read the full article

Abstract

Our results in effective implementation of one algorithm of rational price determination for Bermuda options are reported in the paper. The approaches for optimization of calculations both in serial and parallel versions based on MPI and OpenMP are described. Computational results show linear speedup at clusters/SMP systems.

Keywords: Monte-Carlo methods, options pricing, parallel programming, optimization of calculations

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License